Derivatives and Hedge Accounting (Tables)

9 Months Ended

Sep. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments

The following table presents the notional amounts of our derivatives and the fair value of derivative assets and liabilities in the Condensed Consolidated Balance Sheets:

	September 30, 2024								December 31, 2023
	Gross Derivative Assets				Gross Derivative Liabilities				Gross Derivative Assets				Gross Derivative Liabilities
(in millions)		Notional Amount		Fair Value		Notional Amount		Fair Value		Notional Amount		Fair Value		Notional Amount		Fair Value
Derivatives designated as hedging instruments:(a)
Foreign exchange contracts	$	460	$	56	$	1,045	$	106	$	933	$	58	$	1,296	$	164
Derivatives not designated as hedging instruments:(a)
Interest rate contracts		905		305		982		333		14,657		741		1,165		352
Foreign exchange contracts		2,820		193		2,659		149		4,019		393		8,008		400
Equity contracts		45		31		45		31		36,045		66		—		—
Credit contracts(b)		57		33		218		34		1,804		33		504		36
Other contracts(c)		2,130		1		2,130		1		2,131		1		—		—
Total derivatives, gross	$	6,417	$	619	$	7,079	$	654	$	59,589	$	1,292	$	10,973	$	952
Counterparty netting(d)				(276)				(276)				(450)				(450)
Cash collateral(e)				(241)				(209)				(711)				(249)
Total derivatives on Condensed Consolidated Balance Sheets(f)			$	102			$	169			$	131			$	253

(a)Fair value amounts are shown before the effects of counterparty netting adjustments and offsetting cash collateral.

(b)As of September 30, 2024 and December 31, 2023, included CDSs on super senior multi-sector CLO with a net notional amount of $53 million and $50 million (fair value liability of $33 million and $32 million, respectively). The net notional amount represents the maximum exposure to loss on the portfolio.

(c)Consists primarily of stable value wraps and contracts with multiple underlying exposures.

(d)Represents netting of derivative exposures covered by a qualifying master netting agreement.

(e)Represents cash collateral posted and received that is eligible for netting.

(f)Freestanding derivatives only, excludes embedded derivatives. Derivative instrument assets and liabilities are recorded in Other assets and Other liabilities, respectively. Fair value of assets related to bifurcated embedded derivatives was $3.4 billion at September 30, 2024 and $3.4 billion at December 31, 2023. Fair value of liabilities related to bifurcated embedded derivatives was zero at both September 30, 2024 and December 31, 2023. A bifurcated embedded derivative is generally presented with the host contract in the Condensed Consolidated Balance Sheets. Embedded derivatives are primarily related to the funds withheld arrangement with Fortitude Re. For additional information, see Note 8.

Schedule of Gain (Loss) Recognized in Income on Derivative Instruments in Fair Value Hedging Relationships

The following table presents the gain (loss) recognized in income on our derivative instruments in fair value hedging relationships in the Condensed Consolidated Statements of Income (Loss):

	Gains/(Losses) Recognized in Income for:
(in millions)	Hedging Derivatives(a)		Excluded Components(b)		Hedged Items		Net Impact
Three Months Ended September 30, 2024
Foreign exchange contracts:
Net realized gains/(losses)	$	53	$	6	$	(53)	$	6
Three Months Ended September 30, 2023
Foreign exchange contracts:
Net realized gains/(losses)	$	8	$	(6)	$	(8)	$	(6)
Nine Months Ended September 30, 2024
Foreign exchange contracts:
Net realized gains/(losses)	$	(62)	$	(21)	$	62	$	(21)
Nine Months Ended September 30, 2023
Foreign exchange contracts:
Net realized gains/(losses)	$	(183)	$	(8)	$	183	$	(8)

(a)Gains and losses on derivative instruments designated and qualifying in fair value hedges that are included in the assessment of hedge effectiveness.

(b)Gains and losses on derivative instruments designated and qualifying in fair value hedges that are excluded from the assessment of hedge effectiveness and recognized in income on a mark-to-market basis.

Derivatives Not Designated as Hedging Instruments

The following table presents the effect of derivative instruments not designated as hedging instruments in the Condensed Consolidated Statements of Income (Loss):

	Gains (Losses) Recognized in Income
	Three Months Ended September 30,				Nine Months Ended September 30,
(in millions)	2024		2023		2024		2023
By Derivative Type:
Interest rate contracts	$	(1)	$	(32)	$	(3)	$	(34)
Foreign exchange contracts	3		369		(62)		243
Equity contracts	—		442		—		443
Commodity contracts	—		(1)		—		7
Credit contracts	3		—		3		(1)
Other contracts	—		(792)		—		(792)
Embedded derivatives	(157)		57		(158)		(25)
Total	$	(152)	$	43	$	(220)	$	(159)
By Classification:
Net investment income - excluding Fortitude Re funds withheld assets	$	—	$	—	$	—	$	—
Net investment income - Fortitude Re funds withheld assets	—		1		—		—
Net realized gains (losses) - excluding Fortitude Re funds withheld assets	7		(21)		(62)		(134)
Net realized gains (losses) on Fortitude Re funds withheld assets*	(159)		63		(158)		(25)
Total	$	(152)	$	43	$	(220)	$	(159)

*Includes over-the-counter derivatives supporting the funds withheld arrangements with Fortitude Re and the embedded derivative contained within the funds withheld payable with Fortitude Re.